Ruin Probability for Stochastic Flows of Financial Contract under Phase-Type Distribution

Ruin Probability for Stochastic Flows of Financial Contract under Phase-Type Distribution

This paper examines the impact of the parameters of the distribution of the time at which a bank’s client defaults on their obligated payments, on the Lundberg adjustment coefficient, the upper and lower bounds of the ruin probability. We study the corresponding ruin probability on the assumption of...

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Bibliographic Details
Main Authors: Franck Adékambi, Kokou Essiomle
Format: Article
Language:English
Published: MDPI AG 2020-05-01
Series:Risks
Subjects:
stochastic cash flow
Sparre Andersen model
ruin probability
phase-type distribution
Erlang distribution
Coxian distribution
Online Access:https://www.mdpi.com/2227-9091/8/2/53

Internet

https://www.mdpi.com/2227-9091/8/2/53

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